Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 2 2 1
Score -4.48 -2.78 -6.05
Market Cap (Millions USD) 9398.66 9233.88 8404.87
Predicted Beta 1.29 1.35 1.36
Idiosyncratic Volatility 2.92 4.77 5.28

Annualized return and volatility

IWN
Annualized Return 0.0900
Annualized Std Dev 0.2235
Annualized Sharpe (Rf=0%) 0.4030

Row

Daily Return Statistics

IWN
Observations 4966.0000
NAs 148.0000
Minimum -0.1264
Quartile 1 -0.0063
Median 0.0006
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0076
Maximum 0.0949
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0141
Skewness -0.2071
Kurtosis 6.6800

Downside Risk

IWN
Semi Deviation 0.0101
Gain Deviation 0.0098
Loss Deviation 0.0105
Downside Deviation (MAR=210%) 0.0147
Downside Deviation (Rf=0%) 0.0099
Downside Deviation (0%) 0.0099
Maximum Drawdown 0.6155
Historical VaR (95%) -0.0208
Historical ES (95%) -0.0325
Modified VaR (95%) -0.0216
Modified ES (95%) -0.0377
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2012-12-20 -0.6155 1423 455 968
2002-05-03 2002-10-09 2003-09-04 -0.3407 346 113 233
2018-08-23 2018-12-24 NA -0.2490 344 87 NA
2015-06-24 2016-02-11 2016-08-05 -0.2254 287 164 123
2001-07-02 2001-09-21 2001-12-18 -0.1942 117 55 62

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IWN
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA 1.0 0.2 0.0 -0.3 0.5 0.0 1.4
2001 0.8 -0.2 0.0 0.5 0.6 0.0 0.9 0.0 -1.1 1.4 0.0 0.0 3.0
2002 0.0 2.1 0.3 0.5 0.0 -1.8 -0.7 0.0 2.6 2.6 0.0 0.0 5.8
2003 0.0 0.0 1.2 -0.1 0.0 1.2 -1.6 0.0 3.0 0.0 1.3 0.0 5.1
2004 0.0 1.3 0.9 0.0 0.8 -1.2 0.0 0.4 2.1 0.6 0.8 0.0 5.8
2005 0.6 1.0 -0.5 0.0 1.3 0.7 0.1 0.0 0.0 0.7 1.8 0.0 5.8
2006 0.9 1.7 0.0 -0.8 2.0 0.0 -1.3 0.1 0.0 -1.9 -0.3 0.0 0.3
2007 1.0 -0.5 0.0 0.6 0.7 0.0 0.4 0.0 2.5 -4.2 0.0 0.0 0.4
2008 2.2 0.0 4.1 1.8 0.0 0.4 0.8 0.0 -2.3 0.0 -12.6 0.0 -6.4
2009 0.0 0.0 1.4 0.1 4.1 2.0 0.0 -2.8 -3.2 0.0 1.9 0.0 3.3
2010 1.1 2.2 1.0 0.0 -3.5 -0.7 0.0 3.7 0.4 -0.7 2.1 0.0 5.6
2011 2.2 -1.9 0.5 0.0 -3.0 1.5 -0.5 -2.4 0.0 -3.6 -0.9 0.0 -8.0
2012 2.0 0.4 0.0 0.0 -2.7 0.0 -1.7 0.0 0.4 1.3 0.0 0.0 -0.2
2013 0.9 0.4 -1.1 -2.5 0.0 1.1 1.1 0.0 1.0 -0.3 0.0 0.0 0.7
2014 0.0 0.0 1.1 -0.3 0.0 1.0 -0.4 0.0 -1.1 0.0 -1.4 0.0 -1.1
2015 0.0 0.0 0.2 0.3 0.3 0.3 0.0 -2.8 -0.2 0.0 0.6 0.0 -1.3
2016 -0.6 2.0 0.1 0.0 0.6 0.4 -0.3 -0.3 0.0 -1.2 0.1 0.0 0.8
2017 0.0 2.0 0.0 0.5 1.9 0.0 0.2 0.6 0.0 -0.4 -0.3 0.0 4.6
2018 0.2 0.0 0.0 0.3 0.6 0.0 -0.1 0.0 -1.2 1.5 0.0 0.0 1.2
2019 0.1 0.5 1.3 -0.8 0.0 0.4 -2.1 0.0 -1.8 1.6 0.0 0.1 -0.5

Row

Rolling Performance Chart

Snail Trail Chart